Motivated by some biological applications, a new integral equation is proposed to determine first-passage-time p.d.f.’s for one dimensional diffusion processes, which is particularly suitable for computational purposes. The case of Wiener process and Ornstein-Uhlenbeck processes are discussed into some details both with respect to closed form solutions and to approximate evaluations.

A new algorithmic approach to first-passage-time problems

BUONOCORE, ANIELLO;RICCIARDI, LUIGI MARIA
1986

Abstract

Motivated by some biological applications, a new integral equation is proposed to determine first-passage-time p.d.f.’s for one dimensional diffusion processes, which is particularly suitable for computational purposes. The case of Wiener process and Ornstein-Uhlenbeck processes are discussed into some details both with respect to closed form solutions and to approximate evaluations.
9789027722133
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11588/169867
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